A closed-form solution for options with stochastic volatility with applications to bond and currency options (1993)

by Steven L. Heston
Venue:Review of Financial Studies
Citations:946 - 4 self

Active Bibliography

62 Testing Option Pricing Models – David S. Bates
1 Options and volatility – Peter A. Abken, Saikat N - 1996
229 Stochastic Volatility – Eric Ghysels, Andrew Harvey, Eric Renault - 1995
5 Pricing stock options under stochastic volatility and stochastic interest rates with efficient method . . . – George J. Jiang, Pieter J. van der Sluis - 1998
3 Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates – George J. Jiang, Pieter J. Van Der Sluis - 2000
Les organisations-partenaires / The Partner Organizations – Mark Broadie, Jérôme Detemple, Eric Ghysels, Olivier Torrès, Octobre Cirano, École Des Hautes Études Commerciales
588 The pricing of options on assets with stochastic volatilities – John Hull, Alan White - 1987
17 The Risk Premium of Volatility Implicit in Currency Options – Dajiang Guo, Centre Risk Advisors - 1998
585 Option Pricing: A Simplified Approach – John C. Cox, Stephen A. Ross, Mark Rubinstein - 1979